自动化学报2013，Vol.39Issue(4)：390-399,10.DOI:10.3724/SP.J.1004.2013.00390
基于统计线性化的随机非线性微分对策逼近最优策略
Near Optimal Strategy for Nonlinear Stochastic Differential Games Based on the Technique of Statistical Linearization
摘要
Abstract
A novel solution for a class of nonlinear zero-sum stochastic differential games is given based on the technique of statistical linearization. The near optimal feedback strategies are derived by solving the statistical state dependent Riccati equation, which is significantly different from the Riccati equation of linear systems. The case of strategy with bound limitation is also investigated. An example is given to illustrate the application of the theory.关键词
微分对策/统计线性化/随机非线性系统/逼近最优策略Key words
Differential games/ statistical linearization/ nonlinear stochastic system/ near optimal strategy引用本文复制引用
张平,方洋旺,惠晓滨,刘新爱,李亮..基于统计线性化的随机非线性微分对策逼近最优策略[J].自动化学报,2013,39(4):390-399,10.基金项目
国家自然科学基金(60874040)资助 （60874040）
